This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other …

Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by … using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock …, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to …

relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy …-related economic uncertainty index as well as the stock market volatility index for India. Our results suggest that the standard … oil ETF volatility index does. Clearly, oil and India’s economic uncertainty go hand-in hand. These findings can thus be …